An estimation of a hybrid log-Poisson regression using a quadratic optimization program for optimal loss reserving in insurance

DOI10.1155/2019/1393946MaRDI QIDQ2322262zbMATH OpenOpenAlexWikidataFDO

Authors Apollinaire Woundjiagué, Martin L. D. Mbele Bidima, Ronald Waweru Mwangi

Publication date 4 September 2019

Published in Advances in Fuzzy Systems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/1393946

Mathematics Subject Classification ID

Point estimation (62F10) Fuzziness, and linear inference and regression (62J86) Quadratic programming (90C20)

Review text

Summary: In this article, we are interested in developing an alternative estimation method of the parameters of the hybrid log-Poisson regression model. In our previous paper, we have proposed a hybrid log-Poisson regression model where we have derived the analytical expression of the fuzzy parameters. We found that the hybrid model provide better results than the classical log-Poisson regression model according to the mean square error prediction and the goodness of fit index. However, nowhere we have taken into account the optimal value of \(h\) (\(\alpha\)-cut) which is of greatest importance in fuzzy regressions literature. In this paper, we provide an alternative estimation method of our hybrid model using a quadratic optimization program and the optimized \(h\)-value (\(\alpha\)-cut). The expected value of fuzzy number is used as a defuzzification procedure to move from fuzzy values to crisp values. We perform the hybrid model with the alternative estimation we are suggesting on two different numerical data to predict incremental payments in loss reserving. From the mean square error prediction, we prove that the alternative estimation of the new hybrid model with an optimized \(h\)-value predicts incremental payments better than the classical log-Poisson regression model as well as the same hybrid model with analytical estimation of parameters. Hence we have optimized the outstanding loss reserves.

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• DCL

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